PCRA: Companion to Portfolio Construction and Risk Analysis
A collection of functions and data sets that support teaching
a quantitative finance MS level course on Portfolio Construction and Risk
Analysis, and the writing of a textbook for such a course. The package is
unique in providing several real-world data sets that may be used for problem
assignments and student projects. The data sets include cross-sections of
stock data from the Center for Research on Security Prices, LLC (CRSP),
corresponding factor exposures data from S&P Global, and several SP500 data
sets.
| Version: |
1.2 |
| Depends: |
R (≥ 4.0.0) |
| Imports: |
PerformanceAnalytics, PortfolioAnalytics, boot, methods, xts, zoo, lattice, corpcor, data.table, quadprog, RobStatTM, robustbase, R.cache |
| Suggests: |
R.rsp |
| Published: |
2023-08-30 |
| Author: |
Doug Martin [cre, aut],
Alexios Galanos [ctb],
Kirk Li [aut, ctb],
Jon Spinney [ctb],
Thomas Philips [ctb] |
| Maintainer: |
Doug Martin <martinrd3d at gmail.com> |
| License: |
GPL-2 |
| Copyright: |
(c) 2022-2023 |
| NeedsCompilation: |
no |
| Materials: |
README |
| CRAN checks: |
PCRA results |
Documentation:
Downloads:
Reverse dependencies:
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